tidyfinance (version 0.4.3)

download_data_factors_ff: Download and Process Fama-French Factor Data

Description

Downloads and processes Fama-French factor data based on the specified type (e.g., "factors_ff_3_monthly"), and date range. The function first checks if the specified type is supported and requires the 'frenchdata' package to download the data. It processes the raw data into a structured format, including date conversion, scaling factor values, and filtering by the specified date range.

Usage

download_data_factors_ff(type, start_date = NULL, end_date = NULL)

Value

A tibble with processed factor data, including the date, risk-free rate, market excess return, and other factors, filtered by the specified date range.

Arguments

type

The type of dataset to download, corresponding to the specific Fama-French model and frequency.

start_date

Optional. A character string or Date object in "YYYY-MM-DD" format specifying the start date for the data. If not provided, the full dataset is returned.

end_date

Optional. A character string or Date object in "YYYY-MM-DD" format specifying the end date for the data. If not provided, the full dataset is returned.

Details

If there are multiple tables in the raw Fama-French data (e.g., value-weighted and equal-weighted returns), then the function only returns the first table because these are the most popular. Please use the frenchdata package directly if you need less commonly used tables.

Examples

# \donttest{
  download_data_factors_ff("factors_ff_3_monthly", "2000-01-01", "2020-12-31")
  download_data_factors_ff("factors_ff_10_industry_portfolios_monthly", "2000-01-01", "2020-12-31")
# }